I haven't tried it but a friend of mine did.
He used a couple of large Cats I got for him and he said the smoked out pretty good but tasted muddy. He figured it was due to the size of them , over 20 pounds each. I got them from a flowing stream.
Use smaller Cats , the ones that you would like to have fried up for a meal.
If I remember ( correctly ) the steps he took they were as follows.
He fileted the sides of the cats and left the skin on after cleaning it , soaked them and then rinsed and smoked them over some fine mesh grid work.
I would skin them so just the meat is being smoked and cured. Mullet , Spanish Kings , and all the others are normally scaled , cleaned and smoked.
I checked on the web and found this ....
http://www.smoker-cooking.com/smoked-catfish.html
They say to SKIN THE FILLETS.